Market Measures - September 3, 2019 - Breaching a Strangle

published 1 week ago by tastytrade, Inc.

What’s the probability that a strangle is subject to whipsaw? In other words, what’s the probability the put and call strikes are breached during a trade?
###Study
* SPY, 45 DTE
* 2005 to present
* 10, 20, 30, 40 delta strangles
* Recorded how o...